VWAP, anchors and sigma bands
The VWAP overlay draws the volume-weighted average price from a chosen anchor (15 minutes to 7 days, session by default) and, with Mean reversion enabled, up to four volume-weighted standard-deviation bands around it.
Senzoukria · Documentation · Updated September 2026
Where to find it
- Where
- Chart → Indicators → Overlays → VWAP
- Default
- Off; Anchor = Session (CME 17:00 CT), Mean reversion off, Color #7ed321, Line width 1.8 px
- Formula
- VWAP = Σ(typical × volume) / Σ volume, typical = (H+L+C)/3, cumulated per anchor period
- Sigma
- Volume-weighted standard deviation around the VWAP, computed with weighted Welford
What it does
The VWAP is cumulated per anchor period: every time the anchor key changes, the sums restart and the line is cut rather than joined, so no vertical cliff is drawn between two periods. Bars without volume contribute nothing and emit no point. The right edge shows a tag such as "VWAP SESSION 20412.25" with the anchor label and the last value.
The session anchor is the CME futures session, which resets at 17:00 Chicago, not at midnight. The 3-day and 7-day anchors group consecutive session days; the 15-minute, 1-hour, 4-hour and custom anchors are epoch-aligned buckets. Vertical separators at the start of each VWAP period are drawn by default and can be turned off in the visual settings.
Sigma is the volume-weighted standard deviation of prices around the VWAP since the same anchor, so the bands widen through the session. It is accumulated with the weighted Welford algorithm because the naive Σvp² − VWAP² identity loses precision on futures prices in the tens of thousands.
Settings
| Setting | Default | What it changes |
|---|---|---|
| Anchor | Session (CME 17:00 CT) | 15 minutes, 1 hour, 4 hours, Session, 3 days, 7 days or Custom… |
| Custom | 60 min (1–10080, step 5) | Bucket length when Anchor = Custom… |
| Mean reversion (σ bands) | Off | Master switch: no band is drawn while it is off |
| σ method | typical | typical = one sample per bar (industry parity); levels = one sample per footprint price level |
| Band 1σ / Multiplier 1 | On / 1 (0.25–5) | First band at VWAP ± k·σ |
| Band 2σ / Multiplier 2 | On / 2 (0.25–6) | Second band |
| Band 3σ / Multiplier 3 | Off / 3 (0.25–8) | Third band |
| Band 4σ / Multiplier 4 | Off / 4 (0.25–10) | Fourth band |
| Fill outer band | On | Light fill between the outermost enabled band pair |
| Color | #7ed321 | VWAP line color |
| Line width | 1.8 px (1–5, step 0.2) | VWAP stroke width |
σ method: typical or levels
In typical mode each bar contributes one sample, its typical price weighted by its volume; the bands then match what ATAS or TradingView draw on the same chart. In levels mode each footprint price level contributes its own sample weighted by the volume traded there, which is the true dispersion of the session and is only possible because the chart has bid × ask data. A bar without usable levels (aggregated history, synthetic bar) falls back to its typical sample instead of being skipped.
Bands are sorted by increasing multiplier before drawing, and their opacity decreases with distance from the VWAP, so the inner bands stay the most readable. All band lines are clipped to the chart area.
Anchored VWAP drawing tool
Besides the rule-based overlay, the drawing toolbar has an Anchored VWAP tool: one click on a candle anchors the VWAP from that candle to the last bar and it follows the live feed; a click-and-drag bounds it to a range. The tool uses the same typical-price and weighted-Welford conventions, defaults to orange (#ff9800), and can draw one to three σ bands with multipliers clamped between 0.1 and 10 and an opacity between 10 % and 100 % (55 % when unset).
Limits or pitfalls
- An anchor placed before the first loaded bar starts at the first loaded bar; the VWAP is computed on what is loaded and invents no past.
- Existing installs that predate the Mean reversion switch are migrated to its defaults so that enabling it draws bands 1σ and 2σ.
- A VWAP is a reference, not an entry rule; the bands describe dispersion, not a probability of reversion.
Related pages
This page in other languages
Frequently asked questions
- Why does the VWAP reset at 17:00 Chicago and not at midnight?
- Globex closes at 16:00 CT and reopens at 17:00 CT the same calendar day. A midnight anchor would cut a live session in half, so the Session anchor follows the CME session day.
- I enabled Band 1σ but nothing is drawn.
- Mean reversion (σ bands) is the master switch. Band toggles and multipliers are disabled until it is on.
- Which σ method should I use?
- typical gives parity with other platforms. levels uses every traded price level and is the more faithful dispersion when the chart has real bid × ask levels.